Placement officer

References

Research

"Overinvestment, Financial Crises and Policy"(Job Market Paper) I develop a simple model of financial crises in which the key externalities are overinvestment ex ante and asset price deflation during the crisis. Constrained efficiency can be achieved through a capital tax before the crisis and through asset purchases during the crisis. I also develop a quantitative version of the model in which financial crisis events arise endogenously through occasionally binding leverage constraints. I show that non-linear crisis events can occur out of prolonged boom periods and that they can be triggered by moderately adverse shocks. The model produces crisis patterns that are in line with the empirical evidence. I then use the quantitative model for policy analysis and show that a combination of ex ante macroprudential policy and an ex post crisis intervention is associated with welfare gains.

“Estimating the Impact of Shocks to Bank Capital in the Euro Area”, with R. Martin, L. Maurin and D. Moccero. ECB Working Paper Series No 2077, June 2017 We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking sector variables. We estimate two shocks affecting the euro area economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to riskier assets; ii) Historical shock decomposition analysis shows that bank capital shocks have contributed to increasing capital ratios since the crisis; and iii) counterfactual analysis shows that higher capital ratios pre-crisis would have helped dampening the euro area credit and business cycle. This suggests that going forward the use of capital-based macroprudential policy instruments may be helpful to avoid a repetition of the events seen since the start of the global financial crisis.

Research Papers in Progress

"The Effects of Bank Capital Regulation on Monetary Policy Transmission"